First, try to narrow down what it is you're asking for. What kind of game are you making? What do you need to represent an object in that game? Do you need a sprite (bitmap image), do you need position, dimensions, other attributes, etc...

That said, al_set_target_bitmap does take a small amount of time to switch the active texture, but you don't need to worry about it until it becomes a problem. It's still a good idea to pre-draw your sprites though, and keep them cached.